Approximations for High Dimensional Commodity and Energy Merchant Operations Models

Nicola Secomandi

Foundations and Trends(R) in Technology, Information and Operations Management, 2017, vol. 11, issue 1-2, 144-164

Abstract: Merchant operations is an approach to manage commodity and energy conversion assets modeled as real options. Firms operate networks of such assets, e.g., multiple wind or solar farms that generate electricity at different geographical locations, may be coupled with local grid-level energy storage facilities, and are connected to various wholesale power markets via capacitated transmission lines. The corresponding models are typically intractable. This work describes methods to compute approximate operating policies and assess their optimality gaps for such models. These approximations extend techniques developed for models of single commodity and energy conversion assets.

Keywords: Operational risk management; Contingency planning; Commodity price risk; Supply chain disrutpions (search for similar items in EconPapers)
JEL-codes: G20 G32 M11 (search for similar items in EconPapers)
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:now:fnttom:0200000080

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